Bloomberg Euro Floating-Rate Note Bond Index Total Return Value Unhedged EUR APARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
0.22%
increased by 0.01%
1 Week
0.28%
increased by 0.07%
1 Month
0.46%
increased by 0.25%
Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 28, 2003 to Apr 4, 2025Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 44% more than equivalent positive returns. The volatility power δ = 0.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0134 | 3.79*** |
α ARCH Response to squared shocks | 0.3023 | 12.58*** |
β GARCH Volatility persistence | 0.6977 | 23.77*** |
γ leverage Additional response to negative shocks | 0.3496 | 12.61*** |
δ power Transformation power | 0.5000 | 13.79*** |
Persistence:
0.942
Half-life:
12 days
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